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Table 5 Detailed results of formula 2

From: Interdependence between the stock market and the bond market in one country: evidence from the subprime crisis and the European debt crisis

Country Adjusted R-Square F Stat DW Stat VIF Intercept Lag of Stock Short-term Bond Long-Term Bond Short-term Bonda Crisis Dummy Long-Term Bonda Crisis Dummy
Argentina 0.10 9.16b 1.92 9.73 0.00 0.13a −0.12a 0.07 0.21b −0.34b
Austria 0.05 6.37b 2.00 6.34 0.00 0.16b 0.41 −0.13 −1.72 −0.19
Australia 0.09 10.59b 1.98 6.75 0.00a 0.07 0.06 −0.11 −2.37b 0.13
Belgium 0.04 5.61b 2.00 7.60 0.00 0.19b −0.13 −0.21 −0.74 0.18
Brazil 0.05 4.56b 1.97 6.18 0.00 0.09a 3.01b 0.04 −2.64a 0.20
Canada 0.04 5.43b 1.98 4.90 0.00a 0.10a 0.05 −0.02 −2.15b −0.04
Switzerland 0.01 1.74 1.98 4.85 0.00 0.02 −0.40 −0.10 −1.39 0.10
Chile 0.02 2.67a 1.98 5.95 0.00a 0.16b 0.48 0.13 −0.48 −0.24
China 0.07 5.58b 2.03 14.89 0.00 0.20b −6.89 −0.43 8.31 −0.82
Czech 0.07 8.79b 2.04 5.87 0.00 0.26b 0.54 −0.14 −3.84b 0.26
Germany 0.07 8.77b 2.05 5.59 0.00b 0.03 0.05 −0.34a −3.74b 0.26
Denmark 0.05 6.82b 2.03 7.85 0.00a 0.13b 0.01 −0.18 −2.72b 0.16
Spain 0.02 2.68a 2.01 8.97 0.00 0.11a 0.93 −0.20 −1.11 0.37
Finland 0.06 7.47b 2.01 6.55 0.00 0.12b 1.27a −1.04b −3.33b 0.78a
France 0.05 5.93b 2.01 5.53 0.00 0.03 0.82 −0.26 −3.46b 0.10
Greece 0.09 10.51b 1.99 34.89 0.00 0.25b 1.27 −0.33 −1.40 0.52a
Hungary 0.08 9.77b 1.96 10.13 0.00 0.17b 0.56 0.01 1.09 −0.22
Indonesia 0.05 5.76b 1.98 5.96 0.00b 0.10a −0.02 0.04 0.03 −0.26a
Ireland 0.03 4.32b 1.97 17.95 0.00 0.18b −0.23 0.00 0.41 −0.25
Israel 0.02 2.98a 1.99 3.13 0.00 0.15b −0.04 0.17 −0.03 −0.22
India 0.03 4.21b 2.00 6.65 0.00a 0.17b 0.17 −0.22 −0.15 0.05
Italy 0.02 3.33b 1.98 6.97 0.00 0.14b −0.64 0.03 −0.12 0.23
Japan 0.04 4.71b 1.99 2.97 0.00 0.10a 0.63 −0.49a −2.62 −0.08
Korea 0.03 4.04b 1.99 11.42 0.00 0.18b −0.26 −0.28 −1.10 1.37
Mexico 0.02 2.16a 1.99 368.46 0.00 0.09 0.23 0.30 −0.23 −0.17
Netherlands 0.08 10.35b 2.04 5.96 0.00a 0.07 −1.08 −0.23 −3.04b 0.14
Norway 0.04 4.70b 2.03 2.78 0.00a 0.12b −0.18 0.06 −1.89a −0.33
New Zealand 0.08 9.22b 1.98 10.65 0.00 0.28b 0.41 0.04 −0.47 −0.03
Poland 0.03 3.93b 1.99 4.66 0.00 0.13b 0.35 0.22 −0.97 0.18
Portugal 0.03 3.66b 1.99 16.87 0.00 0.17b 0.87 −0.18 −0.85 0.13
Russia 0.06 32.80b 2.23 900.75 0.00 −0.01 −0.01 0.09 0.11 −0.11
Sweden 0.04 4.95b 2.02 6.68 0.00a 0.04 0.28 −0.37 −3.01a 0.26
Thailand 0.03 4.00b 2.03 4.46 0.00a 0.17b −0.07 0.02 0.07 −0.09
Turkey 0.01 4.24b 1.95 832.23 0.00 0.12 0.98 0.00 −0.98 0.00
Taiwan 0.05 6.87b 1.96 11.65 0.00 0.12b −0.07a 0.02 0.06a 0.21b
UK 0.04 5.07b 1.98 6.46 0.00 0.09a 2.27b −0.43a −3.82b 0.45a
US 0.07 8.45b 1.99 6.48 0.00a 0.08a −0.67 −0.08 −2.40a 0.00
Vietnam 0.12 9.29b 1.94 31.78 0.00 0.34b −0.94 0.92 0.87 −1.00
South Africa 0.01 2.38a 1.97 6.42 0.00 0.09a 0.83 0.10 −0.35 −0.01
  1. ameans significance with 10% confidential interval. bmeans significance with 1% confidential interval